T TskTsk Dec 28, 2013 #11 Quote from Georgi90: What happens then ? Say the market exceeds the expected move, IV is revised on the upside and which option strike should gain most in price(not IV)?. I would say the ATM because of their highest vega exposure More... Away from ATM usually has higher vol of vol. Downside premium often gets some serious inflation on a vol spike.
Quote from Georgi90: What happens then ? Say the market exceeds the expected move, IV is revised on the upside and which option strike should gain most in price(not IV)?. I would say the ATM because of their highest vega exposure More... Away from ATM usually has higher vol of vol. Downside premium often gets some serious inflation on a vol spike.
